Undergraduate Course: Applied Financial Econometrics (ECNM10108)
Course Outline
| School | School of Economics |
College | College of Arts, Humanities and Social Sciences |
| Credit level (Normal year taken) | SCQF Level 10 (Year 3 Undergraduate) |
Availability | Available to all students |
| SCQF Credits | 20 |
ECTS Credits | 10 |
| Summary | Applied Financial Econometrics provides an introduction to financial econometric theory and practice for students interested in the empirical analysis of financial data. |
| Course description |
The aim of the course is to illustrate how statistical and econometric methods can be applied to financial data. It builds on materials covered in Essentials of Econometrics and complements the time series component of Applications of Econometrics. It provides the essential tools for the analysis of dynamics, volatility, and risk in financial markets. Topics covered include autoregressive moving average models, conditional heteroskedasticity models, and value at risk.
The course offers a mixture of theoretical and practical components through lectures, tutorials, and lab exercises. It is designed for students interested in empirical investigations of financial market fluctuations. The learnings goals are for students to evaluate the financial econometrics literature, identify the issues and opportunities in financial time series modelling, and apply the appropriate techniques to financial data using econometrics software.
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Information for Visiting Students
| Pre-requisites | None |
Course Delivery Information
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| Academic year 2022/23, Available to all students (SV1)
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Quota: None |
| Course Start |
Semester 2 |
Timetable |
Timetable |
| Learning and Teaching activities (Further Info) |
Total Hours:
200
(
Lecture Hours 20,
Seminar/Tutorial Hours 6,
Programme Level Learning and Teaching Hours 4,
Directed Learning and Independent Learning Hours
170 )
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| Assessment (Further Info) |
Written Exam
70 %,
Coursework
30 %,
Practical Exam
0 %
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| Additional Information (Assessment) |
Coursework: Group assignment
Students will sort into teams. Each team is expected to work together on the assignment and submit one report for the group. Within each team, students can choose one financial market of interest and model the volatility of that market using or extending the tools they learned in the course. Each team then writes a short report on the findings and receives marks on the report. The recommended length of the report is between 10 and 15 pages, including tables, figures, and appendices. |
| Feedback |
Not entered |
| Exam Information |
| Exam Diet |
Paper Name |
Hours & Minutes |
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| Main Exam Diet S2 (April/May) | | 2:00 | |
Learning Outcomes
On completion of this course, the student will be able to:
- A knowledge and understanding of key issues in financial econometrics, including theoretical models and empirical evidence.
- Research and investigative skills such as problem framing and solving and the ability to assemble and evaluate complex evidence and arguments.
- Communication skills in order to critique, create and communicate understanding and to collaborate with and relate to others.
- Personal effectiveness through task-management, time-management, teamwork and group interaction, dealing with uncertainty and adapting to new situations, personal and intellectual autonomy through independent learning.
- Practical/technical skills such as, modelling skills (abstraction, logic, succinctness), qualitative and quantitative analysis and general IT literacy.
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Additional Information
| Graduate Attributes and Skills |
Not entered |
| Keywords | applied,financial,econometrics |
Contacts
| Course organiser | |
Course secretary | |
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